http://www.csidata.com/ bone put me onto these guys. you can request a free trial - 2 weeks. really great for looking at how well correlated over time two markets have been. great for looking at the suitability of pairs for spreading against each other ( i have spread traded pairs for a living since 2004 )
http://www.homepages.ucl.ac.uk/~ucahgon/Pairs Trading Lecture Slides.pdf This is a very technical paper. Math isn't my forte but it might be beneficial for some of you.
An article about cointegration in FX prior to CHF unpegging. http://mechanicalforex.com/2014/11/cointegration-in-the-forex-market.html
To be broadly diversified, you'll need lots of spread trading opportunities in many sectors. This aligns best with a trend approach that qualifies candidates based on a fundamental relationship and statistical correlation. There are some trading groups you can reference. The Bright traders (currently led by Rob Friesen) have been trend trading equity spreads for the past several years since they turned away from mean-reversion pair trading. They sometimes refer to this strategy by other names, e.g., trending pairs or hedged swing trades. I'm not a client of bone, but my impression from his posts is that his traders take a similar approach with futures. These trading instruments have the advantages of significant margin relief and favorable tax treatment. Just the 60/40 tax treatment on futures alone can boost your post-tax returns versus trading equities.
Thanks for your input Trader13. I agree with this approach. Personally, I'm looking at baskets vs indexes. This is not difficult for a retail trader to execute especially with the right platform. Ernie Chan has a lot of information on this topic on his webpage and in his books. Another site to look at is: http://www.cxoadvisory.com/ This site categorizes and analyzes market anomalies. There is a fee but it is worth it IMHO.
Ernie is honest about his material's efficacy. His books present prototype trading strategies which have to be refined by the end user.